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[自创] 投机call warrant

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x 98
发表于 2012-5-1 11:53 | 显示全部楼层 |阅读模式
买了 PBBANK-CS后,看到这里也有战友,

Issuer: CIMB
发行价 : 0.150
上市日期 : 20-Feb-12
届满日期 :28-Feb-13
转换比例  : 8:1
执行价: RM13.5


现在end of April
CS价钱:RM0.075
PBBANK:RM 13.7

Break even Price = (8 * 0.075) +13.50= RM14.10.

Premium(溢价): 【(0.075*8)+13.5-13.7】*100/13.7 = 2.92%

成交量记录 (units)
2月: 103K
3月: 185K
4月:1415K

共:1703K

—----------------------------------------------------------------------------------------------
就是在赌,博母股能在CS届满前(28-Feb-13)或在这期间,价钱超过RM14.00,
那么CS就有利可图。

母股价升,就能小刀锯大树,
同样的,
母股价跌或者到期熟不透(生番薯),就血本无归。

这一切,就有赖于股息的推波助澜了。
以往PBBANK 宣布派息日期:

30/01/2012
25/07/2011
25/01/2011
20/07/2010
20/01/2010
20/07/2009
30/08/2006

Ex-date将会在两个星期之后,就是说在股息宣布的前后两个星期之内为生死战。
机会有两次,分别为7月与1月。

-------------------------------------------------------------------------------------------------
*Buy on your own risk, its purely gamble!
--------------------------------------------------------------------------------------------------

战友记录:
1.heamq = 800K
2.沙米 = 51K
3.investklse= 32K

*Almost half done by heamq and all by investalk kaki

点评

請問如果是以買在0.075的價錢的話,到期后怎樣算出我們賺還是虧的公式?  发表于 2015-2-26 01:19

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x 98
 楼主| 发表于 2012-5-1 11:53 | 显示全部楼层

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x 98
 楼主| 发表于 2012-5-1 11:55 | 显示全部楼层
本帖最后由 沙米 于 2012-12-21 23:03 编辑

谢谢heamq 兄。

最近我买了800,000股PBBANK-CS,等于100,000股PBBANK的效应,
买价是RM0.095, ...
heamq 发表于 2012-4-28 11:58

http://www.investalks.com/forum/ ... 2641&ptid=14352

也可以这样超级简单的计算:
Dynaquest预测PBBANK未来5年的年均成长是8%,
CS还有10个月才到期,就算8%*10/12=6.67%,拿6%来算就好。
以目前13.80的价钱,到时候母股=13.80*1.06=14.62,
那么CS=(14.62-13.50)/8=0.14。
heamq 发表于 2012-4-18 16:25

通常确定性是不高的,买CW是要有心理准备接受亏完变白纸的
不过转个角度看,可以买数量少一点,亏完也不是什么大不了。


CW是跟着母股走的,通常是不会脱钩的,
当然,市场是由人玩的,什么事都有可能发生的,

不过如果母股不动,CW也会随着时间而慢慢越来越便宜的。
heamq 发表于 2012-4-18 16:54


http://www.investalks.com/forum/ ... =40&pid=1208785

有网友向我拿算call warrants的spreadsheet
我现在把简化了的版本放在这里,有兴趣的请下载研究研究,
有意见的也可以在这个thread里说说看。
heamq 发表于 2012-5-2 13:03



http://www.investalks.com/forum/ ... 524&pid=1240919

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x 21
发表于 2012-5-1 12:06 | 显示全部楼层
回复 1# 沙米


    赌蛮大下,call warrant出名结算那几天被发行商压价的渥。
是european style ?

x 0 我要送花

x 364
发表于 2012-5-1 12:40 | 显示全部楼层
回复  沙米


    赌蛮大下,call warrant出名结算那几天被发行商压价的渥。
是european style ?
SingBlueSilver 发表于 2012-5-1 12:06


这个PBBANK-CS是用VWAP计算的,而且母股的交易量不少。

要避开那些用闭市价计算的,母股又是交易量很小的小股,
例如Ambank出的call warrants,要避开。

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x 20
发表于 2012-5-1 12:50 | 显示全部楼层
战友记录:
1.heamq = 800K
2.沙米 = 51K
3.investklse= 32K

你在这里公布了持股量,不是直接叫大户来砍杀你们吗?

x 0 我要送花

x 21
发表于 2012-5-1 13:08 | 显示全部楼层
这个PBBANK-CS是用VWAP计算的,而且母股的交易量不少。

要避开那些用闭市价计算的,母股又是交易量很 ...
heamq 发表于 2012-5-1 12:40



oh..那还比较安全。
祝两位大大旗开得胜

x 0 我要送花

x 21
发表于 2012-5-1 13:11 | 显示全部楼层

这篇文章不错下


------------------------------------


Warrant poser, cash settlement calculation unfair say some

By TEE LIN SAY
linsay@thestar.com.my

PETALING JAYA: The calculation of cash settlement for call warrants has come under the spotlight as some investors argue that the current method is unfair.

They argue that the calculation of cash settlement for call warrants should not be determined based on the average closing price of the last five days, but instead be based on the volume weighted average price of the last five days.

Currently under Bursa Malaysia's listing requirements, issuers of structured warrants are able to determine for themselves the calculation of cash settlement based on three options:



(i) The volume weighted average price; or

(ii) The average closing price; or

(iii) The closing price of the underlying share or exchange-traded fund on the market day immediately before the exercise or expiry date.

However, most issuers presently use the average closing price as the method to determine cash settlement. Some dealers feel that this may be unfair because if the closing price of the mother share gets depressed on the last five days, then the cash settlement figure drops. “This has happened in a few instances, so it raises the question of whether a more dynamic price determination ought to be considered,” said one dealer.





He cited examples of Malaysia Building Society Bhd's (MBSB) call warrants which expired on April 18 and the DRB-Hicom-CH which expired on April 26.

“For the last five days where the price of the mother share was being used to determine the cash settlement, the price of MBSB's mother share was depressed at the close of four out of the five days,” said the dealer.

MBSB-CA expired at 5pm on April 18. Looking at the intraday charts of MBSB on April 11, 12, 13, 16, and 17, the share prices closed at the low of its day for April 11, 12, 16 and 17. The share prices started dropping towards 4.30pm.



For example on April 17, MBSB opened at RM2.19 and reached an intraday high of RM2.25. By 4.30pm, however, the share price had started dropping and it eventually closed (at 5pm) at RM2.17.

Basically, the higher the mother share, the higher the cash settlement for the warrant holder.

The exercise ratio was 3 MBSB-CA for every one MBSB mother share at an exercise price of RM1.48.

MBSB's closing price of RM2.18 was the average of the closing prices for the shares on each of the five market days immediately before the expiry date.

In the case of DRB-Hicom-CH, it expired on April 26. On the last five days of its closing before expiry, which were April 20, 23, 24, 25 and 26, its share price also dipped lower from the RM2.60-RM2.68 range it was trading in the last three weeks. For those five settlement days, the stock closed at an average price of RM2.45.

While it only closed at its intra-day low on April 23, it did close near to its day's low for the other four days.

A Bursa official said that Bursa's current rules were in line with those of other exchanges such as Singapore Stock Exchange (SGX) and the Hong Kong Stock Exchange (HKEX).

“However, in the discharge of our obligation to ensure a fair and orderly market, Bursa Malaysia has and will continue to review the effectiveness of its rules to ensure they meet their intended objectives,” said the Bursa official.

He added that SGX and HKEX allowed for options (ii) and (iii) .


http://thestar.com.my/news/story ... s/11174530&sec=

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x 126
发表于 2012-5-1 13:16 | 显示全部楼层
不过pbbank1派的股息会影响股价啊。。。

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x 364
发表于 2012-5-1 13:24 | 显示全部楼层
A Bursa official said that Bursa's current rules were in line with those of other exchanges such as Singapore Stock Exchange (SGX) and the Hong Kong Stock Exchange (HKEX).
SingBlueSilver 发表于 2012-5-1 13:11


那个BURSA的家伙也不想想看新加坡和香港的交易量是我们的几倍?

不过最近出的call warrants,其他发行商都开始用VWAP了,只剩下Ambank还是用闭市价。

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x 21
发表于 2012-5-1 13:28 | 显示全部楼层
那个BURSA的家伙也不想想看新加坡和香港的交易量是我们的几倍?

不过最近出的call warrants,其他发 ...
heamq 发表于 2012-5-1 13:24


这里的风气都是有坏的事就说跟强国standard一样;有好事就吹比弱国好很多

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x 126
发表于 2012-5-1 13:45 | 显示全部楼层
drb 是最危险的,每次warrant要到期
炒高了,然后庄跑人,留下一地白纸

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x 364
发表于 2012-5-1 13:54 | 显示全部楼层
本帖最后由 heamq 于 2012-5-1 14:03 编辑
不过pbbank1派的股息会影响股价啊。。。
sky1510 发表于 2012-5-1 13:16


已经预算0.20加0.28的股息了。

从另外一个角度看,全国大选应该会在这PBBANK-CS到期前举行。
选后的可能性:
国阵赢->大起?大跌?
民联赢->大起?大跌?
回头看2008时的308,只是输了几个州,股市就震荡。

那么,假设现在你想买PBBANK母股10000股,需要137000,不如你买80000股PBBANK-CS,只需要6000,其他的131000先放在银行。

如果选后大跌,PBBANK母股跌到10块,那么PBBANK-CS跌到几乎是零,你可以从银行拿131000出来买13000股PBBANK。

如果选后大起,PBBANK母股起到16块,那么PBBANK-CS也会跟着大起。

Call warrants是有福共享,有祸不必共当的工具,当然付出的代价就是它的premium和预算了的股息,以目前的价钱13.70和0.075,加上预算了的0.20+0.28股利,就等于发行商借钱给你买股票,利率是8.4%,利率是高一点,但是有停损点。

如果比较
1)用margin买PBBANK母股,
2)直接买PBBANK-CS,

结果是如下面的图。

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发表于 2012-5-1 14:14 | 显示全部楼层
已经预算0.20加0.28的股息了。

从另外一个角度看,全国大选应该会在这PBBANK-CS到期前举行。
选后的 ...
heamq 发表于 2012-5-1 13:54



    小刀据大树的工具,风险和回报是相等的。

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x 364
发表于 2012-5-1 14:32 | 显示全部楼层
想想吧,大选要到了,
现在应该持有母股呢?
还是持有call warrant,多余钱放银行?

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x 98
 楼主| 发表于 2012-5-1 14:48 | 显示全部楼层
小刀据大树的工具,风险和回报是相等的。
sky1510 发表于 2012-5-1 14:14


对,所以我认为是赌,
我就是嗜赌,
彩票,不买,机率太低,
球,玩过,太费神,放弃了,
云顶,哈哈,干过几个月,闲了。

都是CW刺激,
只是我组合里的一小部分,
我相信heamq大也一样,只是拿CW来leverage.

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x 0
发表于 2012-5-1 15:48 | 显示全部楼层
不好意识的在这里问一句什么是VWAP。

好新的名词,

可以拿个例子来算算吗,

教教小女

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x 364
发表于 2012-5-1 16:00 | 显示全部楼层
不好意识的在这里问一句什么是VWAP。

好新的名词,

可以拿个例子来算算吗,

教教小女
晕云 发表于 2012-5-1 15:48


Volume Weighted Average Price。
如果今天的交易量是:
RM1.00 x 1000股,
RM1.01 x 2000股,
RM1.02 x 3000股,

VWAP=(1.00*1000+1.01*2000+1.02*3000)/6000

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x 0
发表于 2012-5-1 17:24 | 显示全部楼层
Volume Weighted Average Price。
如果今天的交易量是:
RM1.00 x 1000股,
RM1.01 x 2000股,
RM1 ...
heamq 发表于 2012-5-1 16:00



    这个是最后一天结算日当天的每一单都拿来算还是从CW开始到CW的结束?

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x 364
发表于 2012-5-1 17:47 | 显示全部楼层
这个是最后一天结算日当天的每一单都拿来算还是从CW开始到CW的结束?
晕云 发表于 2012-5-1 17:24


如该call warrant是下个星期5月9日到期,那是看之前的5个交易日,既是2日,3日,4日,7日和8日母股的交易。

CIMB的是那5天里,每一天算一个VWAP,然后拿5个VWAP的平均,
也有一些发行商是把全部5天的交易加起来,然后算出一个VWAP,
他们都有在个别的termsheet里写清楚的。

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